ACSC/STAT 4720 - Fall 2016


Life Contingencies II

This is the page where I post material related to the ACSC/STAT 4720 course I am teaching in FALL 2016.

 

  • Office hours: Monday 10:30-11:30, Wednesday 10:30-11:30, Thursday 13:00-14:00
  • Office: 102 Chase building
  • If you want to come to my office at a different time please email me:tkenney@mathstat.dal.ca
  • Midterm Exam: Monday 24th October, in class.
  • Textbook: Actuarial Mathematics for Life Contingent Risks (Second Edition) by David C. M. Dickson, Mary R. Hardy and Howard R. Walters, published by Cambridge University Press, 2013
  • Final Exam: Friday 9th December, 9:00-12:00, Seminar Room (227) Chase Building.
  • Handouts

    Course Handout

    Class Questions

    Answers to Class Questions

    (These are partly for my reference, so are not totally complete.)

    R code for some of the class questions

    Practice Midterm Questions

    Practice Midterm Solutions

    Midterm Solutions

    Practice Final Questions

    Practice Final Solutions

    Planned material

    Lecture time is limited, so I plan to use it explaining concepts and giving examples, rather than reading the textbook. Therefore, to get the most out of each lecture, you should read the relevant material before the lecture. Here is the list of what I expect to cover in each lecture. This is subject to change - make sure to check regularly for changes.

    Week beginning Monday Wednesday Friday
    5th September NO LECTURES
  • Introduction and Preliminaries
  • 8. Multiple State Models
  • 8.2 Examples
  • 8.4 Assumptions and Notation
  • 8.5 Numerical Evaluation of Probabilities
  • 12th September
  • 8.5 Numerical Evaluation of Probabilities (cont.)
  • 8.6 Premiums
  • 8.6 Premiums (cont.)
  • 8.7 Policy Values and Thiele's Differential Equation
  • 8.8 Multiple Decrement Models
  • 19th September
  • 8.9 Multiple Decrement Tables
  • 8.10 Constructing a Multiple Decrement Table
  • 8.10 Constructing a Multiple Decrement Table (cont.)
  • 8.11 Comments on Multiple Decrement Notation
  • 8.12 Transitions at Exact Ages
  • 8.13 Markov Multiple-state Models in Discrete Time
  • 9 Joint Life and Last Survivor Benefits
  • 9.2 Joint Life and Last Survivor Benefits
  • 9.3 Joint Life Notation
  • 26th September
  • 9.4 Independent Future Lifetimes
  • 9.5 A Multiple-state Model for Independent Future Lifetimes
  • 9.6 A Model with Dependent Future Lifetimes
  • 9.7 The Common Shock Model
  • 3rd October 10 Pension Mathematics
  • 10.3 The Salary Scale Function
  • 10.4 Setting the DC Contribution
  • 10.5 The Service Table
  • 10.6 Valuation of Benefits
  • 10.6 Valuation of Benefits (cont.)
  • 10th October THANKSGIVING
  • 10.6 Valuation of Benefits (cont.)
  • 10.7 Funding the Benefits
  • 10.7 Funding the Benefits(cont.)
  • 17th October Revision Chapters 8-10 Revision Chapters 8-10 Revision Chapters 8-10
    24th October

    MIDTERM

    EXAMINATION

    11 Yield Rates and Non-diversifiable Risk
  • 11.2 The Yield Curve (Revision)
  • 11.3 Valuation of Insurances and Life Annuities
  • 11.4 Diversifiable and Non-diversifiable Risk
  • 31st October
  • 11.4 Diversifiable and Non-diversifiable Risk (cont.)
  • 11.5 Monte Carlo Simulation
  • 12 Emerging Costs for Traditional Life Insurance
  • 12.3 Profit Testing a Term Insurance Policy
  • 12.4 Profit Testing Principles
  • 12.5 Profit Measures
  • 12.6 Using a Profit Test to Calculate Premiums
  • 7th November STUDY BREAK
    14th November
  • 12.7 Using the Profit Test to Calculate Reserves
  • 12.8 Profit Testing for Multiple State Models
  • 13 Participating and Universal Life Insurance
  • 13.3 Participating Insurance
  • 13.4 Universal Life Insurance
  • 13.4 Universal Life Insurance (cont.)
  • 13.5 Comparison of Universal and Whole Life Insurance Policies
  • 21st November 14 Emerging Costs for Equity-Linked Insurance
  • 14.2 Equity-Linked Insurance
  • 14.3 Deterministic Profit Testing for Equity-Linked Insurance
  • 14.4 Stochastic Profit Testing
  • 28th November
  • 14.5 Stochastic Pricing
  • 14.6 Stochastic Reserving
  • Revision
    5th December Revision (Also on Tuesday 6th December) END OF LECTURES

    Homework

    Assignment 1 Due Friday 30th September. Model Solutions
    Assignment 2 Due Friday 7th October. Model Solutions
    Assignment 3 Due Monday 18th October. Model Solutions
    Assignment 4 Due Friday 4th November. Model Solutions
    Assignment 5 Due Friday 18th November. Model Solutions
    Assignment 6 Due Friday 25th November. Model Solutions
    Assignment 7 Due Friday 2nd December. Model Solutions